When setting the delimiter in the CSV Import Wizard, the text under the delimiter field says:

To include a delimiter character, place the value between double quotes.
To include a delimiter or a double quote character, place each value between double quotes.

This is wrong. Indeed when you try to add the delimiter surrounded by quotes you get an error message saying:

CSV delimiter must be one character only

Please see below screenshot for details:

New Screenshot (12/12/2019):